new publications - Kameliya FilipovaAlexandria::new publicationsMonetary policy regimes: implications for the yield curve and bond pricingFilipova, K., Audrino, F., & De Giorgi, E. (2014). Monetary policy regimes: implications for the yield curve and bond pricing. Journal of Financial Economics, 3(113), 427-454. --- We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relationship between interest rates and the state of the economy. In contrast to the classical term structure literature, where nonlinearities are captured by increasing the number of latent state variables, or by latent regime shifts, in our no-ï¿½arbitrage framework the regimes are ...https://www.alexandria.unisg.ch/publications/227393
2013-11-18Bond Risk Premia ForecastingAudrino, F., Corsi, F., & Filipova, K. (2014). Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators. Econometric Reviews, 2014(online seit 08.13 - forthcoming), 1-43, DOI:10.1080/07474938.2013.833809. --- We propose a simple but effective estimation procedure to extract the level and the volatility dynamics of a latent macroeconomic factor from a panel of observable indicators. Our approach is based on a multivariate conditionally heteroscedastic exact factor model that can take into account the heteroscedasticity feature shown by most macroeconomic variables and relies on an iterated Kalman ...https://www.alexandria.unisg.ch/publications/223242
2013-06-01Yield Curve Predictability, Regimes, and Macroeconomic InformationAudrino, F., & Filipova, K., University of St. Gallen Department of Economics (Eds.), (2009). Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach. University of St. Gallen Department of Economics working paper series 2009. St. Gallen: University of St. Gallen. --- ...https://www.alexandria.unisg.ch/publications/53838
2009-05-28